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  • Search: subject:"Stock market indices and volatility modeling"
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Subject
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ARCH-Models 1 Asymmetry 1 SAS/ETS software 1 Stock market indices and volatility modeling 1
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Book / Working Paper 1
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Undetermined 1
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Hassan, Abu 1 Shamiri, Ahmed 1
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EconWPA 1
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Econometrics 1
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RePEc 1
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Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities
Shamiri, Ahmed; Hassan, Abu - EconWPA - 2005
This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period. The competing Models include GARCH, EGARCH and GJR-GARCH used with three different...
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